Used with the in front of it, the Miskito names the whole people rather than one person. It behaves as a plural: the Miskito live there, not lives. English does this with a number of group names, the way it says the Dutch. You will also see the plural form the Miskitos, which means the same thing. In older writing the name is spelled Mosquito or Musquito; those spellings are marked dated and obsolete in our source, so modern writing uses Miskito.

This is the countable use: one person. You say a Miskito, two Miskitos, every Miskito in the village. What tells this apart from the group use is the little word in front and the number: a Miskito is one person, the Miskito is the whole people. English works the same way with many nationality and people names, and the capital letter stays in every use.

Language names in English are uncountable and take no article: she speaks Miskito, a book in Miskito, the word for rain in Miskito. So the shape of the sentence tells you which use you are looking at — a Miskito is a person, the Miskito is the people, and bare Miskito after speak or in is the language. The capital letter stays.